US TSYS: PACE OF VIRUS SPREAD STILL DRIVES SAFE-HAVEN BID TSYS

US TSY SUMMARY: Generally muted start to the week with no data to react to.

Modest bid for Tsys gained traction as session wore with novel coronavirus spd

ongoing theme. 

- Markets extended highs after midday on Reuters headline: "GERMANY REPORTS

OUTBREAK OF HIGHLY PATHOGENIC H5N8 BIRD FLU". While supportive, rates less

likely to rally on epidemic news, while risk-on moves more sharp/sudden on

perceived good news.

- Despite virus headlines, equities strong in late trade (S&Ps +20.0, just off

last week's highs), Gold gained 2.20, West Terxas crude slipped -.78.

- Mixed flow w/better buying in 10s and 30s, deal-tied hedging across the curve

(BoA issued $5B 2-part debt). Gradual pick-up in Mar/Jun Tsy futures rolling.

Heavy Eurodollar and Tsy option volume.

- The 2-Yr yield is down 2.4bps at 1.3769%, 5-Yr is down 3.6bps at 1.3684%,

10-Yr is down 3.4bps at 1.5491%, and 30-Yr is down 2.4bps at 2.0248%.

TECHNICALS:

US 10YR FUTURE TECHS: (H0) Corrective Bounce

*RES 4: 132-02+ High Oct 3 and Oct 7 and key resistance

*RES 3: 131-29 Feb 3 high

*RES 2: 131-20+ High Feb 4

*RES 1: 131-16+ 76.4% retracement of the Feb 3 - Feb 6 decline 

*PRICE: 131-07+ @ 16:30 GMT, Feb 10

*SUP 1: 130-07   Low Jan 29 and key near-term support

*SUP 2: 129-23+ 50-day EMA

*SUP 3: 129-17+ Low Jan 23

*SUP 4: 129-12   Low Jan 22 

10yr futures recovered throughout the Friday and Monday sessions. Recent sharp

losses though are expected to weigh on price and for now, the recovery is likely

a correction. Last week futures cleared support at 130-30, the Jan 31 low and

130-13+, Jan 29 low signalling scope for a deeper pullback towards 129-25, an

area of support highlighted by the 50-day EMA. The recent sell-off marks an

unwinding of the overbought condition. Initial resistance is at 131-16+.

AUSSIE 10-YR TECHS: (H0) Insufficient Bounce

*RES 3: 99.1700 - High Aug 16

*RES 2: 99.1550 - High Oct 9

*RES 1: 99.1200 - High Feb 4

*PRICE: 99.0100 @ 16:24 GMT, Feb 10

*SUP 1: 98.7150 - Low Jan 14 and key near-term support 

*SUP 2: 98.5900 - Low Jan 3 

*SUP 3: 98.5700 - Low Jan 2 and primary support

An unchanged RBA and a recovery in global equities last week worked against

Aussie bond markets, which made a tepid recovery into the close on Friday. This

largely held for the Monday session. To the downside, the initial focus is on

98.7150, Jan 14 low where a break is required to signal a fresh round of

stronger bearish pressure. 98.8600 is a key downside risk parameter. To the

upside, bulls must close above the 99.1200 mark to narrow the gap with alltime

highs.

JGB TECHS: (H0): 50-dma Key Support

*RES 3: 153.55 - High Nov 28 and key resistance

*RES 2: 153.24 - 100-dma

*RES 1: 153.13 - High Jan 31

*PRICE: 152.84 @ 16:28 GMT, Feb 10

*SUP 1: 152.37 - 50-dma

*SUP 2: 151.62 - Contract lows, Dec 20

*SUP 3: 151.11 - 76.4% retracement of August 2018 - September 2019 Rally

JGBs bounced further Monday as sentiment remains tepid across Asian markets.

This keeps the 50-dma as support on a closing basis. To re-ignite bullish

momentum, a break and close above the 100- and 200-dmas layered just above would

shift the outlook nicely positive, but the risk of a pullback still looms large

at present levels. For bears to recapture any momentum, a close below the 50-dma

would be needed, opening 151.62 and the 151.11 mark beyond.

TSY FUTURES CLOSE: Well bid after the bell, just off early second half highs on

decent volume (TYH>1.5M), yld curves mixed, 3M10Y re-inverted. Update: 

* 3M10Y  -3.944, -1.471 (L: -2.668 / H: 3.23)

* 2Y10Y  -0.618, 17.211 (L: 16.868 / H: 18.545)

* 2Y30Y  +0.333, 64.654 (L: 63.305 / H: 64.856)

* 5Y30Y  +1.103, 65.341 (L: 63.09 / H: 65.562); Current futures levels:

* Mar 2-Yr futures up 1.25/32  at 108-2.125 (L: 107-31.875 / H: 108-02.75)

* Mar 5-Yr futures up 4.75/32  at 120-2.25 (L: 119-26.25 / H: 120-03.75)

* Mar 10-Yr futures up 8/32  at 131-10.5 (L: 130-28.5 / H: 131-12.5)

* Mar 30-Yr futures up 16/32  at 163-3 (L: 162-07 / H: 163-09)

* Mar Ultra futures up 20/32  at 193-17 (L: 192-08 / H: 193-28)

US TSY FUTURES: Mar/Jun futures roll update -- still running slow. Friday,

February 28 is first notice (June futures take lead quarterly position). March

futures don't expire until mid-late March (10s, 30s and Ultras on 3/20, 2s & 5s

3/31). Session volume and % complete update:

* TUH/TUM appr 23,500 from -6.12 to -5.62, -6.0 last; 9% complete

* FVH/FVM appr 42,300 from -13.0 to -12.25, -12.75 last; 6% complete

* TYH/TYM appr 13,000 from 3.75 to 4.25, 4.0 last; 4% complete 

* UXYH/UXYM <1,000 from 9.5 last 

* USH/USM appr 8,800 from 30.25 to 30.75, 30.75 last; 7% complete

* WNH/WNM appr 10,000 from -25.5 to -24.5, -25.25 last; 6% complete

US EURODLR FUTURES CLOSE: Bid across the strip, at/near session highs as

safe-haven buying gained traction in second half. Current White pack

(Mar'20-Dec'20):

* Mar 20 +0.020 at 98.365

* Jun 20 +0.035 at 98.485

* Sep 20 +0.035 at 98.580

* Dec 20 +0.040 at 98.630

* Red Pack (Mar 21-Dec 21) +0.040 to +0.050

* Green Pack (Mar 22-Dec 22) +0.045

* Blue Pack (Mar 23-Dec 23) +0.040 to +0.045

* Gold Pack (Mar 24-Dec 24) +0.035 to +0.040

US DOLLAR LIBOR: Latest settles

* O/N -0.0027 at 1.5746% (+0.0085 last week)

* 1 Month -0.0074 to 1.6579% (+0.0033 last wk)

* 3 Month -0.0177 to 1.7131% (-0.0202 last wk)

* 6 Month -0.0197 to 1.7206% (-0.0048 last wk)

* 1 Year -0.0343 to 1.8005% (+0.0283 last wk)

US SWAPS: Spds running tighter, late session lows, wings leading move.

Directional move w/moderate drop in Tsys ylds further spurred by decent

swappable corp issuance,  Bank of America launch, leads w/$5B 2-parter. Latest

spd levels:

Time(ET)  2Y Swap/Mid    5Y Swap/Mid   10Y Swap/Mid   30Y Swap/Mid

1445       -1.38/+3.81    -0.75/+0.00   -0.81/-5.38    -1.06/-32.81

1230       -1.00/+4.19    -0.62/+0.12   -0.50/-5.06    -0.62/-32.38

1100       -1.00/+4.19    -0.62/+0.12   -0.50/-5.06    -0.62/-32.38

0945       -1.12/+4.06    -0.62/+0.12   -0.44/-5.00    -0.62/-32.38

Mon Open   -0.56/+4.62    -0.50/+0.25   -0.19/-4.75    -0.50/-32.25

Fri 1500   -0.56/+5.44    -0.50/+0.75   -0.19/-4.50    -0.50/-31.75

STIR: Federal Reserve Bank of New York EFFR for prior session:

* Daily Effective Fed Funds Rate: 1.58%, volume: $77B

* Daily Overnight Bank Funding Rate: 1.58%, volume: $192B

US TSYS: REPO REFERENCE RATES:

* Secured Overnight Financing Rate (SOFR): 1.58%, $1.111T

* Broad General Collateral Rate (BGCR): 1.576, $432B

* Tri-Party General Collateral Rate (TGCR): 1.56%, $415B

OUTLOOK: *** US Data/speaker calendar (prior, estimate):

11-Feb 0600 Jan NFIB Small Business Index (102.7, 103.3)

11-Feb 0855 08-Feb Redbook retail sales m/m

11-Feb 1000 Dec JOLTS job openings level

11-Feb 1000 Dec JOLTS quits rate

11-Feb 1000 Fed Chair Powell House Fncl Services Comm hearing: Mon-Pol/State of

Economy

11-Feb 1330 StL Fed Pres Bullard, CFA Society of St. Louis Luncheon, Q&A

PIPELINE: Bank of America launch, leads w/$5B 2-parter

Date $MM Issuer/Rating/Desc/Maturity/Yld; Priced *; Launch #

02/10 $5B #Bank of America $1.5B 6NC5 +65, $3.5B 11NC10 +95

02/10 $2.5B #Toyota Motor Cr $1.1B 1.5Y FRN L+12.5, $650M 5Y +45, $750M 10Y +65

02/10 $2.25B #Intel $750M 10Y +65, $500M 30Y +90, $1B 40Y +110

02/10 $750M #KDB 3Y FRN L+35, 5Y +45

02/10 $700M #AvalonBay 10Y +77

02/10 $600M #Valvoline 10NC5

02/10 $500M *Emirates NBD 5Y +125

Eurodollar/Tsy options 

Eurodollar options:

* +10,000 Sep/Dec 81/82/90/91 call condor strip, 19.0

* +10,000 Jul 83 puts, 1.75

* near +20,000 Jun 92 calls, 0.75, most in pit

* -4,000 short Apr 91 calls, 3.00 vs. 98.75/0.28%

* +20,000 short Jun 81 puts, 0.5

* +12,500 Dec/short Dec 82/85 put spd spd, 2.25 bear curve flattener

* +10,000 Sep 81 puts, 0.5

* -10,000 May 83 straddles 8.25 over May 85 calls

* -10,000 Jun 83 puts, 4.25

* -5,000 Jun 83 puts, 3.75

* -1,000 Red pack 87 straddle strip, 22.0

* Update, total +23,000 Sep 87/88/90/91 call condors, 1.0 pit/screen

Block, 1003:55ET

* +40,000 Sep 83 puts, 5.0 vs. 98.75/0.20%

* >+15,000 Jun 86/88/91 call flys, 2.0-2.25

* 2,000 Jun 82/83 2x1 put spds, 3.25

* 10,000 Sep 83 puts, 5.0 vs. 98.55/0.20%

* 1,500 short Jun 83/87 2x1 put spds vs.

* 1,500 short Jun 87/91 1x2 call spds,

Blocks, 0833:10ET

* 10,000 Apr 83 puts vs. 20,000 Jun 82 puts, 1.0 net package

Block, 0851:50ET

* 10,000 Mar 82 puts, 0.5 vs. 98.345/0.10%, adds to +10k pit

* +5,500 Sep 87/88/90/91 call condors, 1.0

* Jun 85 straddles trade small at 20.5

Blocks, 0730-0736ET

* total +40,000 Sep 82/83 2x1 put spds, 2.5

* +35,000 Mar 85 calls, 1.25

* +20,000 Sep 80/81 put spds, 1.0

* -18,000 May 83 puts, 3.75

* +10,000 Sep 82/83 2x1 put spds, 2.5

* +7,000 Mar 82 puts, 0.5

* +8,000 Mar 83/85 call spds, 1.5

Tsy options:

* 5,000 TYH 129.5/130.5 3x2 put spds, 11/64

* -3,750 TYH 131.5 calls, 16/64

* another -2,000 TYH 132.25 calls, 7/64 adds to -10k Block

Blocks, 0819:05ET

* 10,000 TYH 132.25 calls, 7/64 vs. 131-05.5/0.17%

Salient overnight flow/Blocks

* 10,000 USJ 157/159 2x1 put spds w/USJ 156/158 2x1 put spd vs. USH 165 calls,

1/64 net

* 10,000 TYJ 129/130 2x1 put spds vs. 132.25 calls, 0.0 net

--MNI Chicago Bureau; tel: +1 312-431-0089; email: bill.sokolis@marketnews.com

[TOPICS: MTABLE,M$U$$$,M$$FI$,MN$FI$,MN$FX$]